Fourth Edition of the International Conference on Research in Applied Mathematics and Computer Science ICRAMCS 2022
 March 24-25-26, 2022
Online and Face-to-Face Conference

ICRAMCS, 4 (2022) | Proceedings ISSN: 2605-7700

Research Communication | Open Access
Volume 2022 | Communication ID 41
A γ-power stochastic Lundqvist-Korf diffusion process: Computational aspects and simulation
Abdenbi El Azri, Ahmed Nafidi
Academic Editor: Youssef EL FOUTAYENI
Received
Accepted
Published
December 20, 2021
March 03, 2050
April 15, 2050

Abstract: In this work, we study a new stochastic γ-power Lundqvist-Korf diffusion process, defined from a non-homogeneous Lundqvist-Korf diffusion process [1]. First, we determine the probabilistic characteristics of the process, such as its analytic expression, the transition probability density function from the corresponding Itô stochastic differential equation [4] and obtain the conditional and non-conditional mean functions. We then study the statistical inference in this process [6]. The parameters of this process are estimated by using the maximum likelihood estimation method with discrete ...